Impact of Covid-19 on Share Prices in Various Sectoral Industry in Indonesia Stock Exchange

Authors : Laverisa Tiara Dita Yafitri; Endri

Volume/Issue : Volume 7 - 2022, Issue 9 - September

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This research was conducted due to the lack of research on the impact of Covid-19 on stock prices and stock trading volume activities in each sector in the sectoral industry of the Indonesian Stock Exchange. The benchmarks used in this study are abnormal returns and trading volume activity. Research related to event study which still has research gaps is also the reason why this research was conducted. The research period was chosen for 161 days which was divided into two periods, namely the estimation period of 140 days and a 21 day window period including 10 days before the event and 10 days after the event, and 1 day was chosen as the event date on March 2, 2020 when the government announced the first case. The results of the statistical tests carried out show that there is no difference in the average abnormal return of the entire sector before and after Covid-19, while the different results are found in the variables of average trading volume activity of the whole sector, average abnormal return and average trading volume activity which are significant in each sector. shows that the three variables have differences before and after the announcement of Covid-19. The results of the analysis in measuring abnormal returns and trading volume activity using the event study method, that the findings based on each sector are better because they describe the results of each sector in the IDX sectoral index

Keywords : Abnormal Return; Event Study; Trading Volume Activity


Paper Submission Last Date
31 - March - 2024

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In 1-2 Days

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